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1 YEAR BETA CALCULATED USING WEEKLY DATA

1 YEAR BETA CALCULATED USING WEEKLY DATA

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Published by: topeq on Mar 27, 2008
Copyright:Attribution Non-commercial

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07/22/2010

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1 YEAR BETA CALCULATED USING WEEKLY DATA = 1.0854 VARIANCE = 0.0703
51 WEEKS
DATEKLCICLOSEDIOICORPCLOSEDKLCICHANGEDIOICORPCHANGED
01/05/07 1122,0
18,70
01/12/07 1113,5
18,70 -0,007575758 0
01/19/07 1139,0
18,50 0,022900763 -0,010695187
01/26/07 1166,0
18,40 0,023705004 -0,005405405
02/02/07 1207,0
18,40 0,03516295 0
02/09/07 1236,5
19,80 0,024440762 0,076086957
02/16/07 1271,0
19,90 0,027901334 0,005050505
02/23/07 1285,0
19,90 0,011014949 0
03/02/07 1144,0
18,70 -0,109727626 -0,060301508
03/09/07 1153,0
18,90 0,007867133 0,010695187
03/16/07 1151,0
18,40 -0,001734605 -0,026455026
03/23/07 1236,5
19,70 0,074283232 0,070652174
03/30/07 1244,5
22,10 0,006469875 0,121827411
04/06/07 1285,5
23,10 0,032944958 0,045248869
04/13/07 1282,5
25,00 -0,002333722 0,082251082
04/20/07 1304,0
25,75 0,016764133 0,03
04/27/07 1314,0
26,00 0,007668712 0,009708738
05/04/07 1353,5
26,25 0,030060883 0,009615385
05/11/07 1350,0
26,25 -0,002585888 0
05/18/07 1355,0
27,75 0,003703704 0,057142857
05/25/07 1318,0
27,50 -0,027306273 -0,009009009
06/01/07 1364,0
28,00 0,034901366 0,018181818
06/08/07 1334,0
5,70 -0,021994135 -0,796428571
06/15/07 1357,5
5,15 0,017616192 -0,096491228
06/22/07 1391,0
5,40 0,024677716 0,048543689
06/29/07 1352,0
5,20 -0,028037383 -0,037037037
07/06/07 1375,0
5,30 0,017011834 0,019230769
07/13/07 1381,5
5,60 0,004727273 0,056603774
07/20/07 1379,5
5,45 -0,001447702 -0,026785714
07/27/07 1343,5
5,20 -0,026096412 -0,04587156
08/03/07 1296,0
5,25 -0,035355415 0,009615385
08/10/07 1250,0
4,92 -0,035493827 -0,062857143
08/17/07 1181,5
4,94 -0,0548 0,004065041
08/24/07 1264,5
4,98 0,070249683 0,008097166
08/30/07 1272,0
5,00 0,005931198 0,004016064
09/07/07 1285,0
5,60 0,010220126 0,12
09/14/07 1272,5
5,80 -0,009727626 0,035714286
09/21/07 1301,0
6,00 0,022396857 0,034482759
09/28/07 1339,5
6,05 0,029592621 0,008333333
10/05/07 1372,0
6,05 0,024262785 0
10/12/07 1380,5
6,15 0,006195335 0,016528926
10/19/07 1357,5
6,65 -0,01666063 0,081300813
10/26/07 1396,5
7,15 0,028729282 0,07518797
11/02/07 1.398,5
7,45 0,001432152 0,041958042
 
11/09/07 1.401,5
7,40 0,002145156 -0,006711409
11/16/07 1.380,0
7,50 -0,015340706 0,013513514
11/23/07 1356,5
6,95 -0,017028986 -0,073333333
11/30/07 1.399,5
6,75 0,031699226 -0,028776978
12/07/07 1.439,0
7,40 0,028224366 0,096296296
12/14/07 1.395,0
7,05 -0,030576789 -0,047297297
12/21/07 1.412,0
7,15 0,01218638 0,014184397
12/28/07 1.443,0
7,75 0,021954674 0,083916084
y = 1,0854x - 0,0064R
2
= 0,0703-1-0,8-0,6-0,4-0,200,2-0,15 -0,1 -0,05 0 0,05 0,1
KLCI
     I     O     I     C     O     R     P
Current value of portfolio = RM 1,000,000
 
rf value = 6% per year Dividend yield on portfolio = 2% annualizedSpot Index value 28 Dec 2007 = 1443.00 points. 3-month Index = 1436.00 points.We are in long position, thus we need to do short position in SIF contract. But how manySIF contract should we short?Base hedge = current ringgit value of portfolio / current ringgit value of indexBase hedge = RM 1,000,000 1443 X RM50= 14 contracts Numbers of contracts = RM portfolio X beta / Ringgit value= RM 1,000,000 X 1.0854 / RM72,150= 15 contracts
Monthly prices (Jan 2007 to Dec 2007)

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